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Quant Daily — 25 Sep 2026

BTC market structure · 2026-09-25 UTC

BTC: $83,480

├ 50MA: $75,353 ✅

├ 200MA: $70,966 ✅

├ Realized: $52,851 (MVRV 1.58)

├ STH cost basis: $71,636

├ LTH cost basis: $48,712

├ RSI (weekly): 61.5

├ IBIT cost basis: $81,694

├ MSTR cost basis: $75,385

├ Production cost: $74,412

├ BTC/Gold: 19.6 oz

└ Fear & Greed: 71 (Greed)

ETF 5d +2684M$ / 20d +2822M$ · CME fwd 2/5 LONG (смешанно) · CLLD 1d -0.03

liq BTC 6m 0.12 3m 0.12 1m 0.29 7d 0.41 (B↓) | ETH 6m 0.10 3m 0.11 1m 0.28 7d 0.42 (B↓) · int BTC 1m↓ ETH 1m↓

CSP / CC(where selling puts / calls is structurally favourable)

Week    78000/88000
Month   70000/95000
Quarter 60000/100000

Weekly

Positive gamma across the book (total GEX +$223M, weekly +$8.6M) — dampening regime.

Fresh weekly board (Oct 2): flip 82,548 with spot just above; gamma wall and max pain both at 82k, weekly walls 78k / 88k.

~70% of new weekly OI last session was built ABOVE spot (82k/84k/85k/87k) — the board is chasing price higher, not sitting below.

Weekly charm −$4.7M (gross metric: OI mass clustered at/above spot).

IBIT lines up with BTC: cap 87.6k vs 88k, floor 79.7k vs 78k, max pain 81.4k, also building higher (85.8–87.6k) — no venue divergence.

Total

Dealer net delta across the full book +$5.2B — hedge still long, but well off the $8B a day ago and $11.3B at the 9/22 peak.

Spot sits above every slow anchor: realized 52.9k, MA50 75.4k, STH basis 71.6k, even IBIT basis 81.7k.

F&G 71 (greed), DVOL 35 — just the 6th percentile of the year: vol premium is thin.

Structure constructive, but spot is in the upper third of the range while far-dated max pain (74–75k) remains deep below.

Week ahead (beta)

83 days of track record. Honest check: yesterday's downside trigger (loss of 84.0–84.5k) fired — 84,261 → 83,480 through the 9/25 expiry; the 82.45–82.85k cluster wasn't reached, the 85k pin broke.

Base case: 82,000–85,500 chop on the fresh weekly board — positive gamma, triple support below (flip 82.5k + gamma mass/max pain 82k + liq 82,850/82,450), liq 83,800 right overhead and a spent zone at 84.8k.

Upside trigger: reclaim of 84.8–85.5k opens liq 87,300 and the 88k node (call wall + fresh zone).

Downside trigger: losing 82.4k points to liq 79,900 and the 78k put wall; the weekly board prices only ~2% odds of −10% by Thursday.

Caveat: standing liquidation skew leans down (grade B) — risk context, not a signal; this is a beta forecast.

← 24 Sep 2026

Structure derived from deterministic market data. Not investment advice.